Can I save values during debugging to a file. Like I have array of 10000 bytes which I want to analyse later on.
You don't give much information that would allow someone to answer if you can - or can't - do that. But my feeling is that you can't, since you are asking this question in the first place. Saving data within the device would normally require a RAM buffer, or in-application programming (IAP) to "code flash", or the use of external flash memory - possibly with code to implement a file system.
By the way - if the amount of trace data doesn't accumulate too quickly, it's normally better to arrange some debug port and send out the data while the program runs. At 100kbit/s (which is rather slow for a UART) allows 10kB/second of continuous trace output - and normally with quite low CPU costs thanks to FIFO or DMA support. In some situations, a JTAG adapter might also be used to handle trace output. Or CAN, SPI, USB, ...
The uVision manual contains a section titled, "Write Debug Output to a File" - might be worth a look ... ?
http://www.keil.com/support/man/docs/uv4/uv4_db_wrdbg_output.htm
See also: http://www.keil.com/support/man/docs/uv4/uv4_cm_save.htm http://www.keil.com/support/man/docs/uv4/uv4_cm_load.htm
Overview of all Debug commands: http://www.keil.com/support/man/docs/uv4/uv4_debug_commands.htm